Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 3 | 2 |
| Score | -8.3 | -4.93 | -8.18 |
| Market Cap (Millions USD) | 9964.49 | 10189.64 | 10451.99 |
| Predicted Beta | 0.21 | 0.21 | 0.25 |
| Idiosyncratic Volatility | 3.48 | 3.89 | 5.85 |
Annualized return and volatility
| XLE | |
|---|---|
| Annualized Return | 0.0635 |
| Annualized Std Dev | 0.2666 |
| Annualized Sharpe (Rf=0%) | 0.2381 |
Row
Daily Return Statistics
| XLE | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1444 |
| Quartile 1 | -0.0077 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0091 |
| Maximum | 0.1647 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0168 |
| Skewness | -0.1454 |
| Kurtosis | 9.1971 |
Downside Risk
| XLE | |
|---|---|
| Semi Deviation | 0.0121 |
| Gain Deviation | 0.0115 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.5736 |
| Historical VaR (95%) | -0.0262 |
| Historical ES (95%) | -0.0393 |
| Modified VaR (95%) | -0.0248 |
| Modified ES (95%) | -0.0393 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2009-03-02 | 2013-05-20 | -0.5736 | 1278 | 202 | 1076 |
| 2014-06-24 | 2016-01-20 | NA | -0.4675 | 1411 | 405 | NA |
| 2001-05-21 | 2002-07-23 | 2004-07-16 | -0.4153 | 807 | 297 | 510 |
| 2007-12-27 | 2008-01-22 | 2008-04-16 | -0.1688 | 78 | 18 | 60 |
| 2005-09-30 | 2005-10-20 | 2006-01-13 | -0.1645 | 75 | 16 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XLE | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | -0.2 | 2.5 | 0.0 | 1.6 | -0.9 | 0.0 | 1.9 | 1.0 | 0.0 | 3.2 | 2.2 | 0 | 11.8 |
| 2001 | -1.3 | 1.1 | 0.0 | -0.6 | -0.4 | 0.0 | -0.4 | 0.0 | -1.4 | 1.5 | 0.0 | 0 | -1.5 |
| 2002 | 0.5 | 1.4 | 0.7 | 0.6 | 0.0 | -1.0 | -5.9 | 0.0 | 3.2 | 2.6 | 0.0 | 0 | 2.0 |
| 2003 | 0.0 | 0.0 | 1.9 | 0.5 | 0.0 | -0.1 | -0.3 | 0.0 | 1.5 | 0.0 | 1.0 | 0 | 4.6 |
| 2004 | 0.0 | 1.9 | -1.2 | 0.0 | 1.4 | 0.1 | 0.0 | 1.8 | 1.4 | -0.6 | -2.4 | 0 | 2.4 |
| 2005 | 1.7 | -1.9 | 2.5 | 0.0 | 1.9 | 2.2 | 1.1 | 2.6 | 0.0 | 0.6 | 3.2 | 0 | 14.6 |
| 2006 | -2.4 | 1.7 | 0.0 | 1.6 | 0.3 | 0.0 | 0.1 | 1.5 | 0.0 | -1.0 | 0.3 | 0 | 2.1 |
| 2007 | 0.4 | -0.3 | 0.0 | 0.4 | 0.9 | 0.0 | -0.3 | 0.0 | 1.7 | -2.9 | 0.0 | 0 | -0.1 |
| 2008 | 2.5 | 0.0 | 1.9 | -2.2 | 0.0 | 0.4 | 0.0 | 0.0 | -1.6 | 0.0 | -10.6 | 0 | -9.9 |
| 2009 | 0.0 | 0.0 | 2.1 | 3.2 | 3.7 | 0.1 | 0.0 | -1.7 | -3.1 | 0.0 | 1.3 | 0 | 5.5 |
| 2010 | 3.3 | 0.9 | 1.8 | 0.0 | -4.8 | -0.4 | 0.0 | 3.7 | 1.3 | 0.1 | 3.0 | 0 | 9.1 |
| 2011 | 1.6 | -1.9 | 0.3 | 0.0 | -2.4 | 0.9 | -0.1 | -0.8 | 0.0 | -3.2 | -0.6 | 0 | -6.0 |
| 2012 | 0.4 | 1.0 | 0.0 | 1.4 | -2.5 | 0.0 | 0.5 | 0.0 | 0.5 | 0.4 | 0.0 | 0 | 1.7 |
| 2013 | 0.9 | 0.1 | -0.2 | -1.6 | 0.0 | 0.7 | 1.6 | 0.0 | 0.6 | -0.4 | 0.0 | 0 | 1.9 |
| 2014 | 0.0 | 0.0 | 0.6 | -0.2 | 0.0 | 0.1 | -0.8 | 0.0 | -2.0 | 0.0 | 0.4 | 0 | -2.1 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.2 | -0.3 | -1.3 | 0.0 | -3.5 | 0.2 | 0.0 | 0.8 | 0 | -3.9 |
| 2016 | -1.7 | 2.6 | -1.3 | 0.0 | 0.0 | 0.5 | -3.3 | -0.3 | 0.0 | 0.0 | 0.2 | 0 | -3.2 |
| 2017 | -0.7 | 2.0 | 0.0 | -0.3 | 0.6 | 0.0 | 0.0 | 1.0 | 0.0 | 1.1 | 0.8 | 0 | 4.6 |
| 2018 | 1.0 | -0.1 | 0.0 | -0.6 | 0.5 | 0.0 | -1.4 | 0.0 | 1.4 | 0.8 | 0.0 | 0 | 1.6 |
| 2019 | 1.7 | 1.8 | 1.3 | -2.0 | 0.0 | 0.1 | -2.3 | 0.0 | -2.3 | 2.3 | 0.0 | 0 | 0.5 |
Row
Rolling Performance Chart
Snail Trail Chart
